%0 Journal Article %A Alexander Rudin %T How Much Beta Is Just Right? Linking Investment Objective and Portfolio Choice %D 2019 %R 10.3905/joi.2019.1.084 %J The Journal of Investing %P 67-74 %V 28 %N 4 %X Alpha forecasting for hedge funds is much less reliable than beta forecasting, which explains the proliferation of mostly risk-based portfolio construction processes for alternatives. When implementing those processes, investors are faced with certain strategic choices, including choosing the long-term level of market exposure, or beta, on the portfolio level. There is no universal guidance that drives that choice. That said, the authors have found that for a particular—and quite popular—form of the investment objective, one can develop such guidance, derive analytical expressions for the correct level of market exposure, and create a practical portfolio construction framework that directly links the investment objectives and portfolio choice.TOPICS: Real assets/alternative investments/private equity, portfolio construction, performance measurement %U https://joi.pm-research.com/content/iijinvest/28/4/67.full.pdf